Change-Point Analysis in Nonstationary Stochastic Models

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DOI10.1201/9781315367989zbMath1416.62018OpenAlexW2587287546MaRDI QIDQ2833452

B. E. Brodskii

Publication date: 18 November 2016

Full work available at URL: https://doi.org/10.1201/9781315367989

zbMATH Keywords

hypothesis testing change-point analysis asymptotical optimality false alarm false decision nonstationary stochastic models retrospective problem of detection sequential problem of detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ The multiple filter test for change point detection in time series

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